•  
  •  
 

Abstract

This study aims to analyze the impact of the Covid-19 Pandemic on the degree and structure of dependence on the stock return of pharmaceutical companies in Indonesia that are listed on the IDX linearly with the Jakarta Composite Index (JKSE) within the period of 2019-202. This study also wants to see whether there is an effect of increasing searches for "Covid" on the stock return of these pharmaceutical stocks. The study found that there was an effect on the degree of dependence of stock returns which was positive but there were no significant changes in the structure of dependence. Meanwhile, it is known that online searches do not have a significant impact on pharmaceutical stock returns during the pandemic.

References

Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities? Research in International Business and Finance, 54, 101249. https://doi.org/10.1016/j.ribaf.2020.101249

Aravind M, & Manojkrishnan C G. (2020). Covid 19: Effect on leading pharmaceutical stocks listed with NSE. International Journal of Research in Pharmaceutical Sciences, 11(SPL1), 31–36. https://doi.org/10.26452/ijrps.v11ispl1.2014

Azimli, A. (2020). The impact of covid-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach. Finance Research Letters, 36, 101648. https://doi.org/10.1016/j.frl.2020.101648

Baek, S., Mohanty, S. K., & Glambosky, M. (2020). Covid-19 and stock market volatility: An industry level analysis. Finance Research Letters, 37, 101748. https://doi.org/10.1016/j.frl.2020.101748

Baur, D. G. (2013). The structure and degree of dependence: A quantile regression approach. Journal of Banking & Finance, 37(3), 786-798. https://doi.org/10.1016/j.jbankfin.2012.10.015

Bissoondoyal-Bheenick, E., Do, H., Hu, X., & Zhong, A. (2021). Learning from SARS: Return and volatility connectedness in COVID-19. Finance Research Letters, 41, 101796-101796. https://doi.org/10.1016/j.frl.2020.101796

Bradley, C., & Stumpner, P. (2021, April 20). The impact of covid-19 on Capital Markets, one year in. McKinsey & Company. Retrieved from https://www.mckinsey.com/business-functions/strategy-and-corporate-finance/our-insights/the-impact-of-covid-19-on-capital-markets-one-year-in

Brooks, C. (2013). Introductory econometrics for finance. Cambridge University Press.

Chuang, C., Kuan, C., & Lin, H. (2009). Causality in quantiles and dynamic stock return–volume relations. Journal of Banking & Finance, 33(7), 1351-1360. https://doi.org/10.1016/j.jbankfin.2009.02.013

Google. (n.d.). FAQ about Google Trends Data - trends help. Google. Retrieved from https://support.google.com/trends/answer/4365533?hl=en&ref_topic=6248052

Google. (n.d.). In-depth guide to how Google Search works. Google. Retrieved from https://developers.google.com/search/docs/advanced/guidelines/how-search-works

Joseph, K., Babajide Wintoki, M., & Zhang, Z. (2011). Forecasting abnormal stock returns and trading volume using investor sentiment: Evidence from online search. International Journal of Forecasting, 27(4), 1116-1127. https://doi.org/10.1016/j.ijforecast.2010.11.001

Koenker, R., & Bassett, G. (1978). Regression Quantiles. Econometrica, 46(1), 33–50. https://doi.org/10.2307/1913643

Lee, B. S., & Li, M. L. (2012). Diversification and risk-adjusted performance: A quantile regression approach. Journal of Banking & Finance, 36(7), 2157-2173. https://doi.org/10.1016/j.jbankfin.2012.03.020

Muhammad, A. (2021, December 30). Saham Emiten farmasi Raih Sentimen positif dari pandemi covid-19. IDX Channel. Retrieved from https://www.idxchannel.com/market-news/saham-emiten-farmasi-raih-sentimen-positif-dari-pandemi-covid-19

Rahmayani, D., & Oktavilia, S. (2021). Does the COVID-19 pandemic affect the stock market in Indonesia? Jurnal Ilmu Sosial Dan Ilmu Politik, 24(1), 33–47. https://doi.org/10.22146/jsp.56432

Rubianto, A. S. (2020). Pengaruh google search terhadap aktivitas pasar modal periode 2016-2018 (thesis).

Takeda, F., & Wakao, T. (2014). Google search intensity and its relationship with returns and trading volume of japanese stocks. Pacific-Basin Finance Journal, 27, 1-18. https://doi.org/10.1016/j.pacfin.2014.01.003

Utomo, C. D., & Hanggraeni, D. (2021). The impact of COVID-19 pandemic on stock market performance in Indonesia. The Journal of Asian Finance, Economics and Business, 8(5), 777-784.

Waldmann, E. (2018). Quantile regression: A short story on how and why. Statistical Modelling, 18(3-4), 203-218. https://doi.org/10.1177/1471082X18759142

WHO-convened Global Study of Origins of SARS-CoV-2: China Part. (2021). Retrieved from https://www.who.int/publications/i/item/who-convened-global-study-of-origins-of-sars-cov-2-china-part.

Yu, K., Lu, Z., & Stander, J. (2003). Quantile regression: Applications and current research areas. Journal of the Royal Statistical Society. Series D (the Statistician), 52(3), 331-350. https://doi.org/10.1111/1467-9884.00363

Bahasa Abstract

Penelitian ini bertujuan untuk menganalisis dampak dari Pandemi Covid-19 pada tingkat dan struktur ketergantungan imbal hasil dari saham perusahaan Farmasi di Indonesia yang melantai di BEI linear dengan Indeks Harga Saham Gabungan (IHSG) dengan mengambil periode waktu 2019-2021. Penelitian ini juga ingin melihat apakah terdapat pengaruh dari peningkatan pencarian mengenai “Covid” kepada imbal hasil dari saham farmasi tersebut. Penelitian menemukan bahwa terdapat pengaruh pada tingkat ketergantungan dari imbal hasil saham yang bernilai positif namun tidak terdapat perubahan pada struktur dari ketergantungan tersebut. Sementara itu, diketahui bahwa pencarian daring tidak memiliki dampak yang signifikan pada imbal hasil saham farmasi selama masa pandemi tersebut.

Download

Share

COinS